Search Results (16)

Portfolio optimization is fundamental to modern finance, enabling investors to construct allocations that balance risk and return while satisfying practical constraints. When transaction costs and cardinality limits are incorporated, the problem becomes a computationally demanding mixed-integer quadratic program. This work demonstrates how principles from biomimetics—specifically, the computational strategies employed by biological neural systems—can inspire efficient algorithms for complex optimization problems. We demonstrate that this problem can be reformulated as a constrained quadratic program and solved using dynamics inspired by spiking neural networks. Building on recent theoretical work showing that leaky integrate-and-fire dynamics naturally implement projected gradient descent for convex optimization, we develop a solver that alternates between continuous gradient flow and discrete constraint projections. By mimicking the event-driven, energy-efficient computation observed in biological neurons, our approach offers a biomimetic pathway to solving computationally intensive financial optimization problems. We implement the approach in Python and evaluate it on portfolios of 5 to 50 assets using five years of market data, comparing solution quality against mixed-integer solvers (ECOS_BB), convex relaxations (OSQP), and particle swarm optimization. Experimental results demonstrate that the SNN solver achieves the highest expected return (0.261% daily) among all evaluated methods on the 50-asset portfolio, outperforming exact MIQP (0.225%) and PSO (0.092%), with runtimes ranging from 0.5 s for small portfolios to 8.4 s for high-quality schedules on large portfolios. While current Python runtimes are comparable to existing approaches, the key contribution is establishing a path to neuromorphic hardware deployment: specialized SNN processors could execute these dynamics orders of magnitude faster than conventional architectures, enabling real-time portfolio rebalancing at institutional scale. Full article

We develop a symmetry-based variational theory that shows the coarse-grained balance of work inflow to heat outflow in a driven, dissipative system relaxed to the golden ratio. Two order-2 Möbius transformations—a self-dual flip and a self-similar shift—generate a discrete non-abelian subgroup of $\mathrm{PGL}(2,\mathbb{Q}\left(\sqrt{5}\right))$. Requiring any smooth, strictly convex Lyapunov functional to be invariant under both maps enforces a single non-equilibrium fixed point: the golden mean. We confirm this result by (i) a gradient-flow partial-differential equation, (ii) a birth–death Markov chain whose continuum limit is Fokker–Planck, (iii) a Martin–Siggia–Rose field theory, and (iv) exact Ward identities that protect the fixed point against noise. Microscopic kinetics merely set the approach rate; three parameter-free invariants emerge: a $62\%:38\%$ split between entropy production and useful power, an RG-invariant diffusion coefficient linking relaxation time and correlation length ${\mathcal{D}}_{\alpha }={\xi }^z/\tau$, and a $\vartheta ={45}^{\circ }$ eigen-angle that maps to the golden logarithmic spiral. The same dual symmetry underlies scaling laws in rotating turbulence, plant phyllotaxis, cortical avalanches, quantum critical metals, and even de-Sitter cosmology, providing a falsifiable, unifying principle for pattern formation far from equilibrium. Full article

Recent increases in gas-fired power generation have engendered increased interdependencies between natural gas and power transmission systems. These interdependencies have amplified existing vulnerabilities in gas and power grids, where disruptions can require the curtailment of load in one or both systems. Although typically operated independently, coordination of these systems during severe disruptions can allow for targeted delivery to lifeline services, including gas delivery for residential heating and power delivery for critical facilities. To address the challenge of estimating maximum joint network capacities under such disruptions, we consider the task of determining feasible steady-state operating points for severely damaged systems while ensuring the maximal delivery of gas and power loads simultaneously, represented mathematically as the nonconvex joint Maximal Load Delivery (MLD) problem. To increase its tractability, we present a mixed-integer convex relaxation of the MLD problem. Then, to demonstrate the relaxation’s effectiveness in determining bounds on network capacities, exact and relaxed MLD formulations are compared across various multi-contingency scenarios on nine joint networks ranging in size from 25 to 1191 nodes. The relaxation-based methodology is observed to accurately and efficiently estimate the impacts of severe joint network disruptions, often converging to the relaxed MLD problem’s globally optimal solution within ten seconds. Full article

This research addresses the efficient integration and sizing of flexible alternating current transmission systems (FACTS) in electrical distribution networks via a convex optimization approach. The exact mixed-integer nonlinear programming (MINLP) model associated with FACTS siting and sizing aims for the minimization of the expected annual operating costs of the network (i.e., energy losses and FACTS purchasing costs). The constraints of this problem include power equilibrium equalities, voltage regulation bounds, and device capacities, among others. Due to the power equilibrium constraints per node and period, the MINLP model is a non-convex optimization problem. To transform the exact MINLP model into a mixed-integer convex one, the approximation of the product between two variables in the complex domain is relaxed through its hyperbolic equivalent, which generates a set of convex cones. The main advantage of the proposed mixed-integer convex model is that it ensures the global optimum of the problem, even when considering objective multiplexes. Numerical simulations in the IEEE 33-, 69-, and 85-bus grids demonstrate the effectiveness and robustness of FACTS integration via the proposed convex approach in comparison with the exact solution of the MINLP model in the GAMS software as well as with combinatorial optimization algorithms (i.e., the black widow optimizer and the vortex search algorithm). All simulations were carried out in MATLAB with Yalmip optimization and the Gurobi and Mosek solvers. The simulation results show that, for a fixed operation of the FACTS devices (i.e., a VAR compensator) during the day, the annual operating costs are reduced by 12.63%, 13.97%, and 26.53% for the IEEE 33-, 69-, and 85-bus test systems, respectively, while for the operation variable, the reductions are by 14.24%, 15.79%, and 30.31%, respectively. Full article

The problem regarding the optimal siting and sizing of photovoltaic (PV) generation units in electrical distribution networks with monopolar direct current (DC) operation technology was addressed in this research by proposing a two-stage convex optimization (TSCO) approach. In the first stage, the exact mixed-integer nonlinear programming (MINLP) formulation was relaxed via mixed-integer linear programming, defining the nodes where the PV generation units must be placed. In the second stage, the optimal power flow problem associated with PV sizing was solved by approximating the exact nonlinear component of the MINLP model into a second-order cone programming equivalent. The main contribution of this research is the use of two approximations to efficiently solve the studied problem, by taking advantage of convex optimization models. The numerical results in the monopolar DC version of the IEEE 33-bus grid demonstrate the effectiveness of the proposed approach when compared to multiple combinatorial optimization methods. Two evaluations were conducted, to confirm the efficiency of the proposed optimization model. The first evaluation considered the IEEE 33-bus grid without current limitations in all distribution branches, to later compare it to different metaheuristic approaches (discrete versions of the Chu and Beasley genetic algorithm, the vortex search algorithm, and the generalized normal distribution optimizer); the second simulation included the thermal current limits in the model’s optimization. The numerical results showed that when the maximum point power tracking was not regarded as a decision-making criterion, the expected annual investment and operating costs exhibited better performances, i.e., additional reductions of about USD 100,000 in the simulation cases compared to the scenarios involving maximum power point tracking. Full article

Estimating covering functionals of convex bodies is an important part of Chuanming Zong’s program to attack Hadwiger’s covering conjecture, which is a long-standing open problem from convex and discrete geometry. In this paper, we transform this problem into a vertex p-center problem (VPCP). An exact iterative algorithm is introduced to solve the VPCP by making adjustments to the relaxation-based algorithm mentioned by Chen and Chen in 2009. The accuracy of this algorithm is tested by comparing numerical and exact values of covering functionals of convex bodies including the Euclidean disc, simplices, and the regular octahedron. A better lower bound of the covering functional with respect to 7 of 3-simplices is presented. Full article

This research presents an efficient energy management system (EMS) for battery energy storage systems (BESS) connected to monopolar DC distribution networks which considers a high penetration of photovoltaic generation. The optimization model that expresses the EMS system with the BESS and renewable generation can be classified as a nonlinear programming (NLP) model. This study reformulates the NLP model as a recursive convex approximation (RCA) model. The proposed RCA model is developed by applying a linear approximation for the voltage magnitudes only at nodes that include constant power loads. The nodes with BESS and renewables are approximated through the relaxation of their voltage magnitude. Numerical results obtained in the monopolar version of a 33-bus system, which included three generators and three BESS, demonstrate the effectiveness of the RCA reformulation when compared to the solution of the exact NLP model via combinatorial optimization techniques. Additional simulations considering wind power and diesel generators allow one to verify the effectiveness of the proposed RCA in dealing with the efficient operation of distributed energy resources in monopolar DC networks via recursive convex programming. Full article

The problem regarding of optimal power flow in bipolar DC networks is addressed in this paper from the recursive programming stand of view. A hyperbolic relationship between constant power terminals and voltage profiles is used to resolve the optimal power flow in bipolar DC networks. The proposed approximation is based on the Taylors’ Taylor series expansion. In addition, nonlinear relationships between dispersed generators and voltage profiles are relaxed based on the small voltage voltage-magnitude variations in contrast with power output. The resulting optimization model transforms the exact nonlinear non-convex formulation into a quadratic convex approximation. The main advantage of the quadratic convex reformulation lies in finding the optimum global via recursive programming, which adjusts the point until the desired convergence is reached. Two test feeders composed of 21 and 33 buses are employed for all the numerical validations. The effectiveness of the proposed recursive convex model is verified through the implementation of different metaheuristic algorithms. All the simulations are carried out in the MATLAB programming environment using the convex disciplined tool known as CVX with the SEDUMI and SDPT3 solvers. Full article

In order to adjust to the change of the large-scale deployment of photovoltaic (PV) power generation and fully exploit the potentialities of an integrated energy distribution system (IEDS) in solar energy accommodation, an evaluation method on maximum hosting capacity of solar energy in IEDS based on convex relaxation optimization algorithm is proposed in this paper. Firstly, an evaluation model of maximum hosting capacity of solar energy for IEDS considering the electrical-thermal comprehensive utilization of solar energy is proposed, in which the maximization of PV capacity and solar collector (SC) capacity are fully considered. Secondly, IEDS’s potential in electricity, heat, and gas energy coordinated optimization is fully exploited to enhance the hosting capacity of solar energy in which the electric distribution network, heating network, and natural gas network constraints are fully modeled. Then, an enhanced second-order cone programming (SOCP)-based method is employed to solve the proposed maximum hosting capacity model. Through SOCP relaxation and linearization, the original nonconvex nonlinear programming model is converted into the mixed-integer second-order cone programming model. Meanwhile, to ensure the exactness of SOCP relaxation and improve the computation efficiency, increasingly tight linear cuts of distribution system and natural gas system are added to the SOCP relaxation. Finally, an example is given to verify the effectiveness of the proposed method. The analysis results show that the maximum hosting capacity of solar energy can be improved significantly by realizing the coordination of an integrated multi-energy system and the optimal utilization of electricity, heat, and gas energy. By applying SOCP relaxation, linearization, and adding increasingly tight linear cuts of distribution system and natural gas system to the SOCP relaxation, the proposed model can be solved accurately and efficiently. Full article

Offshore wind farms have boomed worldwide due to the sustainability of wind power and ocean resources. Power grid companies should consider the wind power consumption problem with more power generated. Power-flow calculation is the most fundamental tool in energy management. This paper proposes the convex-relaxation-based method for offshore wind farms’ power flow. In this method, the traditional equations’ problem solving is transferred into standard convex optimization, which can be solved efficiently with unique optimum. Second-order cone relaxations are imposed to describe the quadratic relationship. The exactness of the relaxation is guaranteed with the special definition of the objective function.The superiority of the proposed method is tested on the case study, for which a computational efficiency improvement is shown. Moreover, the reliability of the power-flow results is verified within the precision tolerance. Full article

The problem of optimal siting and sizing of distribution static compensators (STATCOMs) is addressed in this research from the point of view of exact mathematical optimization. The exact mixed-integer nonlinear programming model (MINLP) is decoupled into two convex optimization sub-problems, named the location problem and the sizing problem. The location problem is addressed by relaxing the exact MINLP model, assuming that all the voltages are equal to $1\angle 0^{\circ }$, which allows obtaining a mixed-integer quadratic programming model as a function of the active and reactive power flows. The solution of this model provides the best set of nodes to locate all the STATCOMs. When all the nodes are selected, it solves the optimal reactive power problem through a second-order cone programming relaxation of the exact optimal power flow problem; the solution of the SOCP model provides the optimal sizes of the STATCOMs. Finally, it refines the exact objective function value due to the intrinsic non-convexities associated with the costs of the STATCOMs that were relaxed through the application of Taylor’s series expansion in the location and sizing stages. The numerical results in the IEEE 33- and 69-bus systems demonstrate the effectiveness and robustness of the proposed optimization problem when compared with large-scale MINLP solvers in GAMS and the discrete-continuous version of the vortex search algorithm (DCVSA) recently reported in the current literature. With respect to the benchmark cases of the test feeders, the proposed approach reaches the best reductions with $14.17\%$ and $15.79\%$ in the annual operative costs, which improves the solutions of the DCVSA, which are $13.71\%$ and $15.30\%$, respectively. Full article

Distributed generators providing auxiliary service are an important means of guaranteeing the safe and economic operation of a distribution system. In this paper, considering an energy storage system (ESS), switchable capacitor reactor (SCR), step voltage regulator (SVR), and a static VAR compensator (SVC), a two-stage multi-period hybrid integer second-order cone programming (SOCP) robust model with partial DGs providing auxiliary service is developed. If the conic relaxation is not exact, a sequential SOCP is formulated using convex–concave procedure (CCP) and cuts, which can be quickly solved. Moreover, the exact solution of the original problem can be recovered. Furthermore, in view of the shortcomings of the large computer storage capacity and slow computational rate for the column and constraint generation (CCG) method, a method direct iteratively solving the master and sub-problem is proposed. Increases to variables and constraints to solve the master problem are not needed. For the sub-problem, only the model of each single time period needs to be solved. Then, their objective function values are accumulated, and the worst scenarios of each time period are concatenated. As an outcome, a large amount of storage memory is saved and the computational efficiency is greatly enhanced. The capability of the proposed method is validated with three simulation cases. Full article

The optimal placement and sizing of distributed generators is a classical problem in power distribution networks that is usually solved using heuristic algorithms due to its high complexity. This paper proposes a different approach based on a mixed-integer second-order cone programming (MI-SOCP) model that ensures the global optimum of the relaxed optimization model. Second-order cone programming (SOCP) has demonstrated to be an efficient alternative to cope with the non-convexity of the power flow equations in power distribution networks. Of relatively new interest to the power systems community is the extension to MI-SOCP models. The proposed model is an approximation. However, numerical validations in the IEEE 33-bus and IEEE 69-bus test systems for unity and variable power factor confirm that the proposed MI-SOCP finds the best solutions reported in the literature. Being an exact technique, the proposed model allows minimum processing times and zero standard deviation, i.e., the same optimum is guaranteed at each time that the MI-SOCP model is solved (a significant advantage in comparison to metaheuristics). Additionally, load and photovoltaic generation curves for the IEEE 69-node test system are included to demonstrate the applicability of the proposed MI-SOCP to solve the problem of the optimal location and sizing of renewable generators using the multi-period optimal power flow formulation. Therefore, the proposed MI-SOCP also guarantees the global optimum finding, in contrast to local solutions achieved with mixed-integer nonlinear programming solvers available in the GAMS optimization software. All the simulations were carried out via MATLAB software with the CVX package and Gurobi solver. Full article

In this paper, we study the problem of minimizing a general quadratic function subject to a quadratic inequality constraint with a fixed number of additional linear inequality constraints. Under a regularity condition, we first introduce two convex quadratic relaxations (CQRs), under two different conditions, that are minimizing a linear objective function over two convex quadratic constraints with additional linear inequality constraints. Then, we discuss cases where the CQRs return the optimal solution of the problem, revealing new conditions under which the underlying problem admits strong Lagrangian duality and enjoys exact semidefinite optimization relaxation. Finally, under the given sufficient conditions, we present necessary and sufficient conditions for global optimality of the problem and obtain a form of S-lemma for a system of two quadratic and a fixed number of linear inequalities. Full article

The problem of electricity pricing for charging stations is a multi-objective mixed integer nonlinear programming. Existing algorithms have low efficiency in solving this problem. In this paper, a convex optimization algorithm is proposed to get the optimal solution quickly. Firstly, the model is transformed into a convex optimization problem by second-order conic relaxation and Karush–Kuhn–Tucker optimality conditions. Secondly, a polyhedral approximation method is applied to construct a mixed integer linear programming, which can be solved quickly by branch and bound method. Finally, the model is solved many times to obtain the Pareto front according to the scalarization basic theorem. Based on an IEEE 33-bus distribution network model, simulation results show that the proposed algorithm can obtain an exact global optimal solution quickly compared with the heuristic method. Full article